Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models

José Fajardo ()

Decisions in Economics and Finance, 2014, vol. 37, issue 2, 319-327

Abstract: We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006 ), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model proposed by Barndorff-Nielsen and Shephard (J R Stat Soc B 63(Part 2):167–241, 2001 ). Also, we prove the Bates’ rule for these models. Copyright Springer-Verlag 2014

Keywords: Barndorff-Nielsen and Shephard Model; Symmetry; Bates’s rule; Ornstein–Uhlenbeck process; C52; G10 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10203-012-0136-4

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